A Note on a Commonly Used Ridge Regression Monte Carlo Design

H. E.T. Holgersson

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 10, 2176-2179

Abstract: Ridge estimators are usually examined through Monte Carlo simulations since their properties are difficult to obtain analytically. In this paper we argue that a simulation design commonly used in the literature will give biased results of Monte Carlo simulations in favor of ridge regression over ordinary least square estimators. Specifically, it is argued that the properties of ridge estimators that are functions of p distinct regressor eigenvalues should not be evaluated through Monte Carlo designs using only two distinct eigenvalues.

Date: 2015
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DOI: 10.1080/03610926.2013.775299

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